کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7354572 1477193 2018 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Upper bounds for strictly concave distortion risk measures on moment spaces
ترجمه فارسی عنوان
مرزهای بالا برای ریسک اعوجاج به شدت غوطهور در فضاهای لحظه ای اندازه گیری می شود
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
The study of worst-case scenarios for risk measures (e.g., Value-at-Risk) when the underlying risk (or portfolio of risks) is not completely specified is a central topic in the literature on robust risk measurement. In this paper, we tackle the open problem of deriving upper bounds for strictly concave distortion risk measures on moment spaces. Building on early results of Rustagi (1957, 1976), we show that in general this problem can be reduced to a parametric optimization problem. We completely specify the sharp upper bound (and corresponding maximizing distribution function) when the first moment and any other higher moment are fixed. Specifically, in the case of a fixed mean and variance, we generalize the Cantelli bound for (Tail) Value-at-Risk in that we express the sharp upper bound for a strictly concave distorted expectation as a weighted sum of the mean and standard deviation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 82, September 2018, Pages 141-151
نویسندگان
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